New Issue: GS Finance sells $10.9 million leveraged notes linked to MSCI Spain 25/50 stocks

By Marisa Wong

Morgantown, W.Va., March 20 – GS Finance Corp. priced $10.9 million of 0% leveraged notes due Sept. 9, 2020 linked to an unequally weighted basket of ordinary shares of the 22 Spanish companies included in the MSCI Spain 25/50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The payout at maturity will be par plus 2.415 times any basket gain. Investors will share fully in losses.

The basket includes the following shares with a 5% weight each: ACS Actividades de Construccion y Servicios SA, Aena SA, Amadeus IT Group SA, Banco Bilbao Vizcaya Argentaria SA, Banco Santander SA, Caixabank SA, Endesa SA, Ferrovial SA, Grifols SA, Iberdrola SA, Industria de Diseno Textil, SA, Naturgy Energy Group, Red Electrica Corporacion SA, Repsol SA and Telefonica SA. It also includes Banco De Sabadell SA (3.71% weight), Bankia SA (2.86% weight), Bankinter, SA (3.72% weight), Enagas SA (4.61% weight), International Consolidated Airlines Group SA (3.86% weight), Mapfre SA (2.85% weight) and Siemens Gamesa Renewable Energy SA (3.39% weight).

The basket was composed on Feb. 22 and includes all of the constituents of the index at that time. To determine the initial weight of each stock, the calculation agent began with the weights of the 22 companies in the index as of Feb. 22 and then reweighted each of the stocks so that no stock was weighted in excess of 5% of the basket. For each stock having an initial weight of more than 5%, the excess weight was distributed to each of the other non-capped stocks pro rata according to their initial weights.

Goldman Sachs & Co. is the underwriter.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Leveraged notes
Underlying basket:	ACS Actividades de Construccion y Servicios SA, Aena SA, Amadeus IT Group SA, Banco Bilbao Vizcaya Argentaria SA, Banco Santander SA, Caixabank SA, Endesa SA, Ferrovial SA, Grifols SA, Iberdrola SA, Industria de Diseno Textil, SA, Naturgy Energy Group, Red Electrica Corporacion SA, Repsol SA and Telefonica SA (5% weight each); Banco De Sabadell SA (3.71% weight), Bankia SA (2.86% weight), Bankinter, SA (3.72% weight), Enagas SA (4.61% weight), International Consolidated Airlines Group SA (3.86% weight), Mapfre SA (2.85% weight) and Siemens Gamesa Renewable Energy SA (3.39% weight)
Amount:	$10.9 million
Maturity:	Sept. 9, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 2.415 times any basket gain; full exposure to losses
Pricing date:	March 5
Settlement date:	March 12
Underwriter:	Goldman Sachs & Co.
Fees:	1.15%
Cusip:	40056EYJ1

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